Winger Jamal Campbell-Ryce scored his first two goals for Southend and Lewis Hunt put the Blues 3-0 up, before substitute John Hartson pulled one back for the Baggies.
West Brom made all the early running but it was Southend who stunned their promotion-pushing visitors in the 11th minute.
Steve Hammell's corner was only half cleared to Campbell-Ryce, who beat three men before unleashing a curling right-foot shot from the edge of the penalty area which beat a diving Russell Hoult at his right post.
The Baggies finally tested Blues keeper Darryl Flahavan in the 20th minute when Jason Koumas floated a 30-yard free-kick over a two-man wall, but Flahavan dived to save at his right post.
But Southend hit back with some promising attacks opening up the West Brom defence, before Jamaica international Campbell-Ryce doubled the Shrimpers' advantage on 28 minutes.
Mark Gower's cross from the left was headed down to the right winger, who smashed his shot home from 25 yards.
Things got worse for the shell-shocked Baggies in the 41st minute when the shipped a third goal. Gower worked a short corner routine with skipper Kevin Maher, before crossing for Hunt to head the third home from six yards.
West Brom hit back with Zoltan Gera firing wide and Flahavan turning Koumas' effort out for a corner, while at the other end a stretching Hoult stopped Maher's 30-yard shot.
Baggies boss Tony Mowbray had seen enough and threw on Nathan Ellington, Neil Clement and John Hartson after half-time to revitalise his lacklustre side.
Koumas and Jonathan Greening both fired wide before Southend centre-back Adam Barrett headed straight at Hoult when it seemed easier to score.
But the Baggies finally found a route back into the game in the 64th minute after a spell camped around the Blues' 18-yard box.
Darren Carter's corner from the right was not cleared and substitute striker Hartson stabbed the loose ball home from close range.
The visitors continued to push for more goals, but found the Shrimpers' defence up to the task.
Southend were satisfied to attack on the break, knowing they had done enough to secure only their fourth league win of the season.